The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange

Samitas, Aristeidis; Kenourgios, Dimitris; Papathanasiou, Spyros

doi:10.2139/ssrn.2494791

Cited by 18 publications

(15 citation statements)

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“…Kenourgios and Samitas (2008) measured the Monday effect on the Athens Stock Exchange for two subperiods (1995-2000 and 2000-2005) and discovered that the effect was much stronger in the former period and observable yet statistically insignificant in the latter, hence they concluded that the day of the week effect is becoming weaker and, at the time of the study, already had no significant impact on the prices of stocks. Basher and Sadorsky conducted an extensive study of the day of the week effects for 21 emerging markets (for the period of December 1992-October 2003.…”

Section: A Survey Of Selected Studies Of the Day Of The Week Effectsmentioning

confidence: 99%

The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets

Jamróz

Koronkiewicz

2014

Studies in Logic, Grammar and Rhetoric

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Abstract. The aim of this paper is to analyze the occurrence of the so called day of the week effects in market return time series from the period of January 2003 to September 2013 (and additionally January 1999 to December 2002). The study focuses on four indices of the Warsaw Stock Exchange (WIG, WIG20, mWIG40 and sWIG80) and additionally five indices of major world stock exchanges (NIKKEI 225, DAX, CAC40, S&P 500, and IBEX). The main data sample was divided into three subperiods in order to determine whether or not the intensity of day of the week anomalies is constant in time. The study revealed a substantial number of the day of the week anomalies in earliest subperiods and very limited evidence of those effects in later ones, giving rise to the conclusion that the intensity of the day of the week anomalies is diminishing with time. The most common effect identified on the WSE was a positive Friday effect. The Monday effect often described in early literature on the subject matter seems to currently occur very rarely. The study also indicates that the day of the week effects were more persistent among stocks with smaller market capitalization on the WSE.

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Section: A Survey Of Selected Studies Of the Day Of The Week Effectsmentioning

confidence: 99%

The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets

Jamróz

Koronkiewicz

2014

Studies in Logic, Grammar and Rhetoric

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“…Cross (1973), French (1980), Gibbons and Hess (1981), Lakonishok and Levi (1982), Keim and Stambaugh (1984), Rogalski (1984), Harris (1986), Smirlock and Starks (1986), Lakonishok and Smidt (1988) and Mehdian and Perry (2001) are among others who find a day-of-the-week effect in the US stock market. The anomaly is found to exist in most developed and emerging stock markets all over the globe (Lyroudi et al, 2002;Paudyal & Draper, 2002;Patev et al, 2004;Kenourgios & Samitas, 2005;Dicle & Hassan, 2007;Choudhary & Choudhary, 2008;Dicle & Levendis, 2010;Huang et al, 2010). Comparing with this huge research on the daily regularities of stock returns, very little is known about regularities in aggregate stock market liquidity.…”

Section: Literature Reviewmentioning

confidence: 99%

An Analysis of Aggregate Market Liquidity: The Case of Amman Stock Exchange

Alrabadi¹

2012

IBR

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The purpose of this study is to analyze the behavior, the day-of-the-week regularities and the macroeconomic determinants of aggregate market liquidity of emerging stock markets through studying Amman Stock Exchange (ASE). The study investigates all the stocks traded in ASE over the period [2002][2003][2004][2005][2006][2007][2008][2009][2010]. Aggregate market liquidity is measured by several proxies, each reflecting a certain dimension. It is calculated as an average of individual stock liquidity proxies and as a sum of trading activity measures. Aggregate market liquidity shows a fluctuating pattern throughout the study period. It gets worse in the mid-week. Spread and depths show their maximum values on Mondays and Sundays, respectively. The trading activity reaches its minimum on Sunday and its maximum on Thursday. Major macroeconomic factors significantly affect aggregate market liquidity, though; aggregate market return and volatility exercise a larger effect. This study is the first to conduct a comprehensive analysis of aggregate market liquidity in an emerging stock market.

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“…More recently, Tsangarakis (2007), Al-Khazali et al (2008) and Kenourgios and Samitas (2008) evaluate the ASE for the DOW effect in returns. 3 These studies evaluate the ASE composite index and provide evidence of a persistent DOW effect, however for inconsistent weekdays.…”

Section: Literature Reviewmentioning

confidence: 99%

“…3 These studies evaluate the ASE composite index and provide evidence of a persistent DOW effect, however for inconsistent weekdays. Kenourgios and Samitas (2008) also compare the periods before and after the Euro and report a "weakened" anomaly for the later period. In so doing, they show the significant development that the ASE went through since 1995.…”

Section: Literature Reviewmentioning

confidence: 99%